There are 2 ways to use a CDRW-- as a "multi-use" CDR, or you can format it and use it sort of like a big floppy (called "packet writing").
If you just want to burn test CDs (like an audio CD), you don't need to do anything special-- just master the disc in your software of choice and burn (Easy CD Creator, Nero, etc). If you want to use the disc again, use the software's "Erase media" function, and then re-burn. This is "mastering" the disc (kinda using the term lightly since it's not TRUE mastering to send off for replication)
You only need to format the disc if you want to use it like a floppy. (i.e., data ONLY, you can't make an audio CD to play in a CD player this way) Your burner should come with packet writing software, such as DirectCD or InCD. You put in a blank disk, go into the packet writing software (usually in the system tray), and tell it to format. Then you can drag and drop files.
I personally would HIGHLY recommend AGAINST using packet writing software-- it's notoriously flaky, and both DirectCD and InCD have a long history of incompatibility with different software. (both other CD burning programs, and sometimes totally unrelated software!) Plus, if your system crashes, or the media is bad, or something else happens and the packet writing can't complete properly, it can wipe out the whole disc (I've had that happen too many times) -- for quick archives of non-essential stuff, it can be OK, but in general it's too quirky for long-term archives where mastering is always better.